Below $is$ the regression outcome from STATA. The efficient markets hypothesis $(EMH)$ states that ${}_{1}on$ return ${?}_{(}t-1)=0.$

widehat$($ return ${)}_t=\mathrm{.}180+\mathrm{.}059$ return ${?}_{(}t-1)$

$.$ hettest

Breusch$-$Paga$\frac{n}{C}$ook$-$Weisberg test for heteroskedasticity

Assumption: Normal error terms

Variable: Fitted values $of$ return

$H0$: Constant variance

chi$2(1)=95\mathrm{.}22$

Prob $>$ chi$2=0\mathrm{.}0000$

$a$